Fatou closedness under model uncertainty
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fundamental theorem of asset pricingcapacitiesconvex duality under model uncertaintyFatou closedness propertysequential order closedness
Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Duality theory for topological vector spaces (46A20) Ordered topological linear spaces, vector lattices (46A40) Foundations of probability theory (60A99)
Abstract: We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of -quasisure bounded random variables, where is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.
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- Super‐replication with transaction costs under model uncertainty for continuous processes
- Martingale optimal transport duality
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